Annual Conference

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Investment Finance

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May 2018

Attention to Global Warming

Darwin CHOI, Zhengyu GAO, Wenxi JIANG
We find that people revise their beliefs about climate change upward when experiencing warmer than usual temperatures in their area. Using international data, we show that attention to climate change, as proxied by Google search volume, increases when the local temperature is abnormally high. In fin...
Keywords: Global warming, Climate Change, Financial markets, stocks
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Annual Conference

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Investment Finance

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May 2021

Attention Spillover in Asset Pricing

Jianfeng YU, Li AN, Xin CHEN
Exploiting a screen display feature whereby the order of stock display is determined by the stock listing codes, we lever a novel identification strategy and study the impact of attention spillover on stock prices and turnover. We find that stocks with neighbors on the display that experience higher...
Keywords: limited attention, overconfidence, attention spillover, price impact, return predictability
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Annual Conference

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Investment Finance

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May 2016

Asset Pricing for the Shortfall Averse

Gur HUBERMAN, Paolo GUASONI
Compare the utility from consuming a certain amount under two circumstances which vary by the levels of past historical consumption. This paper’s premise is that the higher past historical consumption, the lower is the utility from current consumption. The paper and its companion, GHR, extend stan...
Keywords: loss aversion, Asset Pricing, Consumption, prospect theory
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

Are Shorts Equally Informed? A Global Perspective

Ekkehart BOEHMER, Zsuzsa. R. HUSZAR, Yanchu WANG, Xiaoyan ZHANG
Using a daily sample of 25 countries from 2006 to 2010, we examine whether information from shorts can significantly predict future stock returns across different countries. We construct seven shorting measures using past shorting transactions, and fees information in the lending market. The majorit...
Keywords: Pricing Efficiency, Short Selling, Costs of Short Selling, Short Sale Regulations
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2017

Are Mutual Fund Managers Paid for Investment Skill?

Ron KANIEL, Markus IBERT, Stijn VAN NIEUWERBURGH, Roine VESTMAN
Compensation of mutual fund managers is paramount to understanding agency frictions in asset delegation. We collect a unique registry-based dataset on the compensation of Swedish mutual fund managers. We find a concave relationship between pay and revenue, in contrast to how investors compensate the...
Keywords: Portfolio manager compensation, Mutual Fund Performance, financial sector income
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